Choe, Geon; Lee, Kyungsub - In: AStA Advances in Statistical Analysis 98 (2014) 3, pp. 197-224
In an asset return series, there is a conditional asymmetric dependence between current return and past volatility depending on the current return’s sign. To take into account the conditional asymmetry, we introduce new models for asset return dynamics in which frequencies of the up and down...